I think that this episode highlighted the differences between Jon and the new Sansa. Jon was going to try to save his brother regardless of the odds, similar to what parents do when trying to rescue their children when they're in extreme danger without considering that they might die themselves. As well, maybe Jon figured that his survival didn't make a difference because of the huge imbalance in armies.
Sansa, on the other hand, has become cool, calculating, and less compassionate over time. She warned Jon about Ramsay, and she knew that Rickon was a goner no matter what. She also got satisfaction watching Ramsay eaten by his own dogs, something she never would have done before her experience with him at Winterfell.
It'll be interesting to see where the writers take her character and how she differs from Dany. We've seen that Dany likes to destroy her enemies, as she almost did with the slavers. But she was deterred by Tyrion and ended up saying that unlike her father, she wants to leave the world better than the way she found it. Will Sansa do the same thing?